volatility and economic activity assuming that both variables are driven by the same set of unobserved common factors and that … these factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, the … paper analytically shows that volatility is forward looking and that the output equation of a typical VAR estimated in the …

slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …

Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the … volatility series are much higher than cross-country correlations of GDP growth series, we set up a multi-country version of the … Lucas tree model with time-varying volatility consistent with this stylized fact and use it to identify two common factors …

Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the …. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a ‘real' and a …

Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the …. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a 'real' and a …

Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility …

Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the …. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a "real" and a …

slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …